Abstract
Four criteria are proposed for variable selection in factor analysis. Three are introduced from the viewpoint to make the configurations of the true factor scores F and the estimated factor scores F(m) as close as possible. The remaining one comes from the maximization of the variance-covariance matrix due to regression of F on the variables X(m). The relationship among the four criteria and the generalized coefficient of determination (GCD) proposed by Yanai (1980) is discussed. The performances are investigated through the analyses of two sets of real data. As variable selection procedures we propose the forward selection procedure as well as the backward elimination procedure.
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Tanaka, Y. Some Criteria for Variable Selection in Factor Analysis. Behaviormetrika 10, 31–45 (1983). https://doi.org/10.2333/bhmk.10.13_31
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DOI: https://doi.org/10.2333/bhmk.10.13_31